Search found 2 matches
- Fri Jan 24, 2014 6:28 am
- Forum: Econometric Discussions
- Topic: Something like "HAC Newey–West" in GARCH?
- Replies: 1
- Views: 2856
Something like "HAC Newey–West" in GARCH?
In case of "LS - Least Squares (NLS and ARMA)", you can choose HAC Newey-West standard errors & covariance. Is there any equivalent in GARCH-model? Is it Bollerslev-Wooldridge robust standard errors & covariance? My problem is, that the residuals are autocorrelated and I cannot &qu...
- Sat Nov 02, 2013 4:41 am
- Forum: Econometric Discussions
- Topic: test for autocorrelation when estimating ARCH-Model
- Replies: 7
- Views: 18250
test for autocorrelation when estimating ARCH-Model
Hi, I estimated in EViews 8 an equation using the ARCH-Method. In residual diagnostics, there is no Breusch-Godfrey Serial Correlation LM. Why? How can I test for the autocorrelaction? In my equation, I use a lagged endogenous variable, so the Durbin Watson test is biased (and the Breusch-Godfrey te...